The Past of the Futures (Renaissance RIFF) Fund

While the RIEF fund has opened up a bit to investors, there’s virtually no information available on the Renaissance Futures RIFF fund started in 2007. RIFF, started 13 months ago, did well during its first nine months but has been challenged by the turbulence of this fall, during which its returns were disappointing.

In his Nov. 2008, testimony before the House Committee on Oversight and Government Reform, Jim Simons said about RIFF that it is a slow trading fund, investing in commodities, currencies, bonds, and stock indices, and is designed to deliver an attractive return at relatively low volatility. There’s also generic information available at www.wsj.com obtained by WSJ from RIFF marketing materials:

• RIFF is a modestly-leveraged, slow-trading, global futures fund designed to provide substantial risk-adjusted returns,
• uncorrelated to US and global equity markets and with medium to low correlation to other asset classes
• Targets holding times between nine and 12 months
• The RIFF system is completely automated, with the exception of part of actual trade execution.
• Proprietary algorithms evaluate investment opportunities regularly in an effort to improve the portfolio.

All of the above makes a good case for a dynamic factor analysis of RIFF returns.